Trend-Following Backtester · Guide · backtest 한국어
equity · US
Caseys General Stores, Inc. backtest
10 trend-following strategies were compared on the full daily history of Caseys General Stores, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -74.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.8%, MDD -74.5%, Sharpe 0.60, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
15.8% | -74.5% | 0.60 | 0.21 | 536.4x | 15 | 100% |
| EMA 크로스오버 fast=53, slow=300 |
12.1% | -60.8% | 0.54 | 0.20 | 133.4x | 35 | 77% |
| Donchian 채널 돌파 entryN=40, exitN=77 |
10.6% | -55.6% | 0.50 | 0.19 | 75.7x | 71 | 75% |
| SMA 크로스오버 fast=43, slow=173 |
8.3% | -70.3% | 0.43 | 0.12 | 29.9x | 75 | 68% |
| Supertrend period=26, mult=4.9 |
5.1% | -71.5% | 0.32 | 0.07 | 8.4x | 124 | 64% |
| ADX / DI 방향성 period=51, threshold=17 |
2.7% | -57.5% | 0.26 | 0.05 | 3.1x | 64 | 15% |
| 볼린저 밴드 돌파 n=55, k=3 |
0.9% | -63.1% | 0.13 | 0.01 | 1.4x | 86 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -86.3% | 0.08 | -0.01 | 0.7x | 356 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=1.2 |
-2.0% | -91.3% | 0.02 | -0.02 | 0.4x | 354 | 52% |
| MACD fast=16, slow=25, signal=16 |
-4.4% | -97.8% | -0.08 | -0.05 | 0.1x | 646 | 51% |
| Buy and hold | 16.1% | -74.5% | 0.61 | 0.22 | 598.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below